Value-at-Risk Bounds with Variance Constraints
By Carole Bernard, Ludger Rüschendorf, Steven Vanduffel. 2015
105 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/b4ea60ad5c3319b776366316a573e2fde7386091
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Ruodu Wang
- Ludger Rüschendorf
- Carole Bernard
- Xiao Jiang
- Paul Embrechts
- Andrew J. Patton
- William T. Ziemba
- Yanqin Fan
In Finance
- Ruodu Wang
- Paul Embrechts
- Ludger Rüschendorf
- Carole Bernard
- Xiao Jiang
- Antonela Beleraj
- Claudia Czado
- Kjersti Aas
In Management Science and Operations Research
- Ruodu Wang
- Ludger Rüschendorf
- Paul Embrechts
- Carole Bernard
- Antonela Beleraj
- Xiao Jiang
- Andrew J. Patton
- Claudia Czado
Citations in the corpus
- An Academic Response to Basel 3.5 (2014, background): “In the recent paper Bernard et al. (2013b), it has been shown that additional variance constraints may lead to essentially improved VaR bounds.”
- Risk aggregation with dependence uncertainty (2014, methodology): “Previous studies on convex order of admissible risks mainly focused on the sharp upper bound for a general number n of individual risks and the sharp lower bound for n = 2 (for example, see Denuit et al. (1999), Tankov (2011) and Bernard et al. (2012, 2013a)).”